Right now LU only works for GTA III on Windows. Other versions of GTA III came out long after LU's release, and were more of a promotional way for Rockstar Games to make more money off of its 10th anniversary. Due to this, LU will not run in Mac OS X natively. It would also not work if ported or run through WINE, as it is coded to interact with the Windows version of GTA III only, which uses different memory addresses.

Theoretically, (and I stress the theoretical part), you could run it in WINE alongside a Windows version of GTA III, but that is the only way you could get it to run on Mac OS X right now. Even then, you will likely experience issues and lag caused by the emulated "Windows" system environment that it creates internally to run the game.

Your best bet would be to install Windows through Boot Camp if you are running an Intel-based Mac computer, and boot into that to play LU with the Windows version of GTA III.